class Td():
def __init__(self, logger, wechat):
self.logger = logger
self.api = RequestClient(url="https://api-aws.huobi.pro", api_key=g_api_key, secret_key=g_secret_key)
self.buy_price = 7314
self.profit = 300
self.init_balance = 1.257
self.update_interval = 6 * 60
self.avg_price = 0
self.open_price = 0
self.ask = 0
self.bid = 0
self.wechat = wechat
self.lastTd = None
self.resetCountdownOnTDST = True
self.resetSetupCounterAfterCountdownHit13 = True
self.result = list()
self.orders = queue.Queue()
self.status_thread = StatusThread(self.api, self.init_balance, self.orders, logger, wechat)
self.status_thread.start()
def get_float(self, f_str, n):
f_str = str(f_str)
a, b, c = f_str.partition('.')
c = (c + "0" * n)[:n]
tmp = ".".join([a, c])
return float(tmp)
def trade(self):
self.update_candles()
time.sleep(300)
opt = self.desicion()
#self.do_trade(opt)
def get_current_price(self, symbol="btcusdt"):
return self.api.get_best_quote(symbol)
def update_candles(self):
candles = self.api.get_candlestick("btcusdt", CandlestickInterval.HOUR4, 200)
self.calc_td(candles)
self.logger.info("td buy seq:==>")
i = 0
for item in self.result[-24:]:
self.logger.info(str(i) +":" + str(item.buySetupIndex))
#self.logger.info(str(i) +":" + str(item.buyCoundownIndex))
#self.logger.info(str(i) +":" + str(item.buySetup))
#self.logger.info(str(i) +":" + str(item.buySetupPerfection))
i += 1
self.logger.info("td sell seq:==>")
i = 0
for item in self.result[-24:]:
self.logger.info(str(i) + ":" + str(item.sellSetupIndex))
#self.logger.info(str(i) + ":" + str(item.sellCoundownIndex))
#self.logger.info(str(i) + ":" + str(item.sellSetup))
#self.logger.info(str(i) + ":" + str(item.sellSetupPerfection))
i += 1
def desicion(self, symbol="btcusdt"):
current = self.get_current_price(symbol)
self.ask = current.ask_price #卖1
self.bid = current.bid_price #买1
last_second = self.result[-2]
self.lastTd = self.result[-1]
td_buy = (last_second.buySetup == False and last_second.buySetupPerfection == False) \
and (self.lastTd.buySetupPerfection and self.lastTd.buySetup
and (self.lastTd.buySetupIndex == 9 or self.lastTd.buySetupIndex == 13))
td_sell = (last_second.sellSetup == False and last_second.sellSetupPerfection == False) \
and (self.lastTd.sellSetupPerfection and self.lastTd.sellSetup
and (self.lastTd.sellSetupIndex == 9 or self.lastTd.sellSetupIndex == 13))
self.logger.info("买1：" + str(self.bid))
self.logger.info("卖1：" + str(self.ask))
self.logger.info("td_buy：" + str(td_buy))
self.logger.info("td_sell：" + str(td_sell))
if td_sell and self.ask - self.buy_price > self.profit:
return TradeOpt.Sell
elif td_buy:
return TradeOpt.Buy
return TradeOpt.Hold
def do_trade(self, opt, symbol="btcusdt"):
if opt == TradeOpt.Hold:
return
if opt == TradeOpt.Sell:
position = self.api.get_position()
position = self.get_float(position, 2)
msg = "【状态】卖出TD序列值达标：{0}\n 是否达到最优：{1}\n 【决策】：卖出\n".format(self.lastTd.sellSetup, self.lastTd.sellSetupPerfection)
self.wechat.send_message(msg)
if position <= 0.01:
self.wechat.send_message("仓位不足:" + str(position))
return
order = self.api.create_order(symbol=symbol, account_type=AccountType.SPOT, order_type=OrderType.SELL_LIMIT,
amount=position, price=self.ask)
message = "【新建订单】\n 方向：卖出\n 数量：{0}\n 价格：{1}".format(position, self.ask)
self.wechat.send_message(message)
self.orders.put(order)
else:
msg = "【状态】买入TD序列值达标：{0}\n 是否达到最优：{1}\n 【决策】：买入\n".format(self.lastTd.buySetup,
self.lastTd.buySetupPerfection)
self.wechat.send_message(msg)
cash = self.api.get_cash()
if cash < 20:
self.wechat.send_message("现金不足:" + str(cash))
return
amount = cash / self.bid
amount = self.get_float(amount, 2)
order = self.api.create_order(symbol=symbol, account_type=AccountType.SPOT, order_type=OrderType.BUY_LIMIT,
amount=amount, price=self.bid)
self.buy_price = self.bid
message = "【新建订单】\n 方向：买入\n 数量：{0}\n 价格：{1}".format(amount, self.bid)
self.wechat.send_message(message)
self.orders.put(order)
def calc_td(self, ohlc):
i = 0
ohlc.reverse()
for item in ohlc:
self.logger.info(ohlc[i].close)
resultObj = ResultObj()
if i >= 5:
resultObj.sellCoundownIndex = self.result[i - 1].sellCoundownIndex
resultObj.buyCoundownIndex = self.result[i - 1].buyCoundownIndex
resultObj.sellSetup = self.result[i - 1].sellSetup
resultObj.buySetup = self.result[i - 1].buySetup
resultObj.TDSTBuy = self.result[i - 1].TDSTBuy
resultObj.TDSTSell = self.result[i - 1].TDSTSell
resultObj.sellSetupPerfection = self.result[i - 1].sellSetupPerfection
resultObj.buySetupPerfection = self.result[i - 1].buySetupPerfection
closeLessThanCloseOf4BarsEarlier = ohlc[i].close < ohlc[i - 4].close
closeGreaterThanCloseOf4BarsEarlier = ohlc[i].close > ohlc[i - 4].close
resultObj.bearishFlip = ohlc[i - 1].close > ohlc[i - 5].close and closeLessThanCloseOf4BarsEarlier
resultObj.bullishFlip = ohlc[i - 1].close < ohlc[i - 5].close and closeGreaterThanCloseOf4BarsEarlier
if (resultObj.bearishFlip or (self.result[i - 1].buySetupIndex > 0 and closeLessThanCloseOf4BarsEarlier)):
resultObj.buySetupIndex = (self.result[i - 1].buySetupIndex + 1 - 1) % 9 + 1
resultObj.TDSTBuy = max(item.high, self.result[i - 1].TDSTBuy)
elif (resultObj.bullishFlip or (self.result[i - 1].sellSetupIndex > 0 and closeGreaterThanCloseOf4BarsEarlier)):
resultObj.sellSetupIndex = (self.result[i - 1].sellSetupIndex + 1 - 1) % 9 + 1
resultObj.TDSTSell = min(item.low, self.result[i - 1].TDSTSell)
if (resultObj.buySetupIndex == 9):
resultObj.buySetup = True
resultObj.sellSetup = False
resultObj.sellSetupPerfection = False
resultObj.buySetupPerfection = (ohlc[i - 1].low < ohlc[i - 3].low and ohlc[i - 1].low < ohlc[i - 2].low) or (
ohlc[i].low < ohlc[i - 3].low and ohlc[i].low < ohlc[i - 2].low)
if (resultObj.sellSetupIndex == 9):
resultObj.sellSetup = True
resultObj.buySetup = False
resultObj.buySetupPerfection = False
resultObj.sellSetupPerfection = (ohlc[i - 1].high > ohlc[i - 3].high and ohlc[i - 1].high > ohlc[i - 2].high) or (
ohlc[i].high > ohlc[i - 3].high and ohlc[i].high > ohlc[i - 2].high)
self.calculateTDBuyCountdown(self.result, resultObj, ohlc, item, i)
self.calculateTDSellCountdown(self.result, resultObj, ohlc, item, i)
self.result.append(resultObj)
i += 1
def calculateTDSellCountdown(self, result, resultObj, ohlc, item, i):
if (result[i - 1].sellSetup and resultObj.buySetup) or (self.resetCountdownOnTDST and item.close < result[i - 1].TDSTSell):
resultObj.sellCoundownIndex = 0
resultObj.countdownResetForTDST = True
elif resultObj.sellSetup:
if item.close > ohlc[i - 2].high:
resultObj.sellCoundownIndex = (result[i - 1].sellCoundownIndex + 1 - 1) % 13 + 1
resultObj.countdownIndexIsEqualToPreviousElement = False
if (resultObj.sellCoundownIndex == 13 and result[i - 1].sellCoundownIndex == 13):
resultObj.sellCoundownIndex = 0
if (self.resetSetupCounterAfterCountdownHit13 and (resultObj.sellCoundownIndex == 13 and resultObj.sellSetupIndex > 0)):
resultObj.sellSetupIndex = 1
if (resultObj.sellCoundownIndex != 13 and result[i - 1].sellCoundownIndex == 13):
resultObj.sellSetup = False
resultObj.sellSetupPerfection = False
resultObj.sellCoundownIndex = 0
def calculateTDBuyCountdown(self, result, resultObj, ohlc, item, i):
if (result[i - 1].buySetup and resultObj.sellSetup) or (self.resetCountdownOnTDST and item.close > result[i - 1].TDSTBuy):
resultObj.buyCoundownIndex = 0
resultObj.countdownResetForTDST = True
elif resultObj.buySetup:
if item.close < ohlc[i - 2].low:
resultObj.buyCoundownIndex = (result[i - 1].buyCoundownIndex + 1 - 1) % 13 + 1
resultObj.countdownIndexIsEqualToPreviousElement = False
if (resultObj.buyCoundownIndex == 13 and result[i - 1].buyCoundownIndex == 13):
resultObj.buyCoundownIndex = 0
if (self.resetSetupCounterAfterCountdownHit13 and (resultObj.buyCoundownIndex == 13 and resultObj.buySetupIndex > 0)):
resultObj.buySetupIndex = 1
if (resultObj.buyCoundownIndex != 13 and result[i - 1].buyCoundownIndex ==13):
resultObj.buySetup = False
resultObj.buySetupPerfection = False
resultObj.buyCoundownIndex = 0
class Trader():
def __init__(self, logger, wechat):
self.logger = logger
self.api = RequestClient(url="https://api-aws.huobi.pro", api_key=g_api_key, secret_key=g_secret_key)
self.buy_price = 7314
self.profit = 100
self.init_balance = 1.257
self.update_interval = 6 * 60
self.avg_price = 0
self.open_price = 0
self.ask = 0
self.bid = 0
self.second_max = 0
self.second_min = 0
self.second_max_t = datetime.datetime.now()
self.second_min_t = datetime.datetime.now()
self.wechat = wechat
self.orders = queue.Queue()
self.status_thread = StatusThread(self.api, self.init_balance, self.orders, logger, wechat)
self.status_thread.start()
def get_float(self, f_str, n):
f_str = str(f_str)
a, b, c = f_str.partition('.')
c = (c + "0" * n)[:n]
tmp = ".".join([a, c])
return float(tmp)
def trade(self):
self.update_candles()
time.sleep(6)
result = self.desicion()
self.do_trade(result)
def get_current_price(self, symbol="btcusdt"):
return self.api.get_best_quote(symbol)
def update_candles(self):
ct = datetime.datetime.now()
if self.ask > 0 and (ct - self.second_max_t).seconds < self.update_interval and (ct - self.second_min_t).seconds < self.update_interval:
return
candles = self.api.get_candlestick("btcusdt", CandlestickInterval.MIN60, 7)
highs = [candle.high for candle in candles]
lows = [candle.low for candle in candles]
highs.sort()
lows.sort()
self.second_max = highs[-2]
self.second_min = lows[1]
self.logger.info("【更新】second_max：" + str(self.second_max))
self.logger.info("【更新】second_min：" + str(self.second_min))
def desicion(self, symbol="btcusdt"):
current = self.get_current_price(symbol)
self.ask = current.ask_price #卖1
self.bid = current.bid_price #买1
self.logger.info("买1：" + str(self.bid))
self.logger.info("卖1：" + str(self.ask))
if self.ask >= self.second_max and self.ask - self.buy_price > self.profit:
return TradeOpt.Sell
elif self.bid <= self.second_min:
return TradeOpt.Buy
return TradeOpt.Hold
def do_trade(self, opt, symbol="btcusdt"):
if opt == TradeOpt.Hold:
return
if opt == TradeOpt.Sell:
position = self.api.get_position()
position = self.get_float(position, 2)
self.wechat.send_message("【决策】：卖出\n")
if position <= 0.01:
self.wechat.send_message("仓位不足:" + str(position))
return
order = self.api.create_order(symbol=symbol, account_type=AccountType.SPOT, order_type=OrderType.SELL_LIMIT,
amount=position, price=self.ask)
message = "【新建订单】\n 方向：卖出\n 数量：{0}\n 价格：{1}".format(position, self.ask)
self.wechat.send_message(message)
self.orders.put(order)
else:
self.wechat.send_message("【决策】：买入\n")
cash = self.api.get_cash()
if cash < 20:
self.wechat.send_message("现金不足:" + str(cash))
return
amount = cash / self.bid
amount = self.get_float(amount, 2)
order = self.api.create_order(symbol=symbol, account_type=AccountType.SPOT, order_type=OrderType.BUY_LIMIT,
amount=amount, price=self.bid)
self.buy_price = self.bid
message = "【新建订单】\n 方向：买入\n 数量：{0}\n 价格：{1}".format(amount, self.bid)
self.wechat.send_message(message)
self.orders.put(order)
ttsi_30 = request_client.get_ttsi('BTC', '30min')
ttmu_30 = request_client.get_ttmu('BTC', '30min')
candlestick_list_30 = request_client.get_candlestick("BTC_CQ",
CandlestickInterval.MIN30,
100)
am_30 = BarArray()
am_30.update_candle(candlestick_list_30)
boll_30 = TradeInfoArray(1)
boll_30.update_ttmu(ttmu_30)
boll_30.update_ttsi(ttsi_30)
boll_30.update_boll_array(candlestick_list_30, am_30)
# ########## 60 min data ############
ttsi_60 = request_client.get_ttsi('BTC', '60min')
ttmu_60 = request_client.get_ttmu('BTC', '60min')
pos_60 = request_client.get_position('BTC', 'quarter', '60min', '48', '1')
candlestick_list_60 = request_client.get_candlestick("BTC_CQ",
CandlestickInterval.MIN60,
100)
am_60 = BarArray()
am_60.update_candle(candlestick_list_60)
boll_60 = TradeInfoArray(1)
boll_60.update_all(ttsi_60, ttmu_60, pos_60, candlestick_list_60, am_60)
# ########## 4 hours ############
ttsi_4h = request_client.get_ttsi('BTC', '4hour')
ttmu_4h = request_client.get_ttmu('BTC', '4hour')
pos_4h = request_client.get_position('BTC', 'quarter', '4hour', '48', '1')
candlestick_list_4h = request_client.get_candlestick("BTC_CQ",
CandlestickInterval.HOUR4,
100)
